Seminar on Stochastic Analysis, Random Fields and Applications VII : Centro Stefano Franscini, Ascona, May 2011
 Responsibility
 Robert C. Dalang, Marco Dozzi, Francesco Russo, editors.
 Language
 English.
 Publication
 Basel : Birkhäuser, [2013].
 Physical description
 xi, 469 pages : illustrations ; 24 cm.
 Series
 Progress in probability ; 67.
Access
Creators/Contributors
Contents/Summary
 Bibliography
 Includes bibliographical references.
 Contents

 Foreword. Public lecture by N. Bouleau, Can there be excessive mathematization of the world?. Part I: Stochastic analysis and random fields R. Balan, Recent advances related to SPDEs with fractional noise. G. Di Nunno, S.Sjursen, On chaos representation and orthogonal polynomials for the doubly stochastic Poisson process. R. Eden, F. Viens, General upper and lower tail estimates using Malliavin calculus and Stein's equations. B. Ferrario, Uniqueness and absolute continuity for semilinear SPDE's. I. Gyongy, P.R. Stinga, Rate of convergence of WongZakai approximations for SPDEs. A. KohatsuHiga, H. L. Ngo, Weak approximations for SDE's driven by Levy processes. V. Mandrekar, B. Ruediger, S. Tappe, Ito's formula for Banach space valued jump processes driven by Poisson random measures. C. Marinelli, Wellposedness for a class of dissipative stochastic evolution equations with Wiener and Poisson noise. L.M. Morato, S. Ugolini, Localization of relative entropy in BoseEinstein condensation of trapped interacting bosons. I. Nourdin, G. Peccati, R. Speicher, Multidimensional semicircular limits on the free Wigner chaos. S.S. Sritharan and M. Xu, Malliavin Calculus for stochastic point vortex and Lagrangian models. W. Stannat, Two remarks on the Wasserstein Dirichlet form. J. Manuel, Erratum. Part II: Stochastic methods in financial models F. Biagini, Evaluating hybrid products: the interplay between financial and insurance markets. F.E. Benth, H. Eyjolfsson, Stochastic modeling of power markets using stationary processes. S. Cawston, L. Vostrikova, Fdivergence minimal equivalent martingale measures and optimal portfolios for exponential Levy models with a changepoint. C. Ceci, Optimal investmentconsumption for partially observed jumpdiffusions. R. Cogo, A. Gombani, W.J. Runggaldier, Stochastic control and pricing under swap measures. D. Filipovic, Variance swap curve models. B. Jourdain, M. Sbai. Efficient second order weak scheme for stochastic volatility models. T. Lim, V. Ly Vath, J. M. Sahut, S. Scotti, Bidask spread modelling, a perturbation approach. A.R.L. Valdez, T. Vargiolu, Optimal portfolio in a regimeswitching model.
 (source: Nielsen Book Data)
 Publisher's Summary
 This volume contains refereed research or review articles presented at the 7th Seminar on Stochastic Analysis, Random Fields and Applications which took place at the Centro Stefano Franscini (Monte Verita) in Ascona , Switzerland, in May 2011. The seminar focused mainly on:  stochastic (partial) differential equations, especially with jump processes, construction of solutions and approximations  Malliavin calculus and Stein methods, and other techniques in stochastic analysis, especially chaos representations and convergence, and applications to models of interacting particle systems  stochastic methods in financial models, especially models for power markets or for risk analysis, empirical estimation and approximation, stochastic control and optimal pricing. The book will be a valuable resource for researchers in stochastic analysis and for professionals interested in stochastic methods in finance.
(source: Nielsen Book Data)
Subjects
Bibliographic information
 Publication date
 2013
 Series
 Progress in probability ; v. 67
 ISBN
 9783034805445 (hbk.)
 3034805446 (hbk.)
 3034805454 (eBook)
 9783034805452 (eBook)